Avatar: The Last Airbender, 3 seasons, but they're 25-min episodes, so effectively the same as only 1.5 seasons of a normal TV show.

Also, Watchmen on HBO. One season, no plans to continue.

Band of Brothers is an oldie but definitely a goodie.

Rome season 1 is a fantastic bit of TV. Season 2 is decent, but honestly a bit of a letdown, and season 1 is a fully self-contained storyline that you can just pretend has a tragic ending.